Testing for sparse idiosyncratic components in factor-augmented regression models

Cites Work

Pathwise coordinate optimization
Forecasting Using Principal Components From a Large Number of Predictors
Title not available (Why is that?)
Inferential Theory for Factor Models of Large Dimensions
Determining the Number of Factors in Approximate Factor Models
Simultaneous analysis of Lasso and Dantzig selector
Eigenvalue ratio test for the number of factors
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models
On asymptotically optimal confidence regions and tests for high-dimensional models
Rank regularized estimation of approximate factor models
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
Inference on Causal and Structural Parameters using Many Moment Inequalities
Estimating Number of Factors by Adjusted Eigenvalues Thresholding
Linear regression for panel with unknown number of factors as interactive fixed effects
Bootstrapping factor models with cross sectional dependence
Bootstrapping factor-augmented regression models
Tests for parameter instability in dynamic factor models
Detecting big structural breaks in large factor models
Testing for structural breaks in dynamic factor models
Testing for factor loading structural change under common breaks
Estimating and testing high dimensional factor models with multiple structural changes
Testing for structural changes in factor models via a nonparametric regression
Testing for structural stability of factor augmented forecasting models
Linear hypothesis testing in dense high-dimensional linear models
On time-varying factor models: estimation and testing
Power enhancement in high-dimensional cross-sectional tests
Economic Predictions With Big Data: The Illusion of Sparsity
Confidence intervals in regressions with estimated factors and idiosyncratic components
Bridging factor and sparse models
Testing for structural changes in large dimensional factor models via discrete Fourier transform
Testing for time-varying factor loadings in high-dimensional factor models
The factor-Lasso and \(k\)-step bootstrap approach for inference in high-dimensional economic applications
Most powerful test against a sequence of high dimensional local alternatives
Title not available (Why is that?)
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction
Are Latent Factor Regression and Sparse Regression Adequate?
Factor and Factor Loading Augmented Estimators for Panel Regression With Possibly Nonstrong Factors
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

This page was built for publication: Testing for sparse idiosyncratic components in factor-augmented regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6664624)